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A Numerical Strategy for Telecommunications Networks Capacity Planning Under Demand and Price Uncertainty
(Elsevier BV * North-Holland, 2017-07)
[Abstract] The massive use of Internet in the last twenty years has created a huge demand for telecommunications networks capacity. In this work, financial option pricing methods are applied to the problem of network ...
Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
(MDPI AG, 2019-08-06)
[Abstract] In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the ...
PDE Models and Numerical Methods for Total Value Adjustment in European and American Options with Counterparty Risk
(Elsevier Inc., 2017-09-01)
[Abstract] Since the last financial crisis, a relevant effort in quantitative finance research concerns the consideration of counterparty risk in financial contracts, specially in the pricing of derivatives. As a consequence ...
Transient hysteresis and inherent stochasticity in gene regulatory networks
(Nature Publishing Group, 2019-10-08)
[Abstract] Cell fate determination, the process through which cells commit to differentiated states is commonly mediated by gene regulatory motifs with mutually exclusive expression states. The classical deterministic ...
Pricing pension plans under jump–diffusion models for the salary
(Elsevier, 2014)
[Abstract] In this paper we consider the valuation of a defined benefit pension plan in the presence of jumps in the underlying salary and including the possibility of early retirement. We will consider that the salary ...
Pricing pension plans based on average salary without early retirement: partial differential equation modeling and numerical solution
(Infopro Digital Services, 2012)
[Abstract] In this paper, a partial differential equation model for the pricing of pension plans
based on average salary is posed by using the dynamic hedging methodology. The
existence and uniqueness of solutions for ...
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
(2017)
[Abstract] In this paper, we consider the numerical valuation of swing options in electricity
markets based on a two-factor model. These kinds of contracts are modeled as pathdependent
options with multiple exercise ...
A new numerical method for pricing fixed-rate mortgages withprepayment and default options
(Taylor & Francis Online, 2016)
[Abstract] In this paper we consider the valuation of fixed-rate mortgages including prepayment and default options,where the underlying stochastic factors are the house price and the interest rate. The mathematical modelto ...
Mathematical Analysis and Numerical Methods for Pricing Pension Plans Allowing Early Retirement
(SIAM, 2013)
[Abstract] In this paper, we address the mathematical analysis and numerical solution ofa model for pricing a defined benefit pension plan. More precisely, the benefits received by themember of the plan depend on the ...
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
(Elsevier, 2019)
[Abstract] In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with ...